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Relationship between Treasury bills and Eurodollars : theoretical and empirical analysis
Lee, Cheng F.; Shrestha, Keshab; Welch, Robert L. - In: Review of quantitative finance and accounting 28 (2007) 2, pp. 163-185
Persistent link: https://www.econbiz.de/10003492789
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Relationship between expected treasury bill and Eurodollar interest rates : a fractional cointegration analysis
Shrestha, Keshab; Welch, Robert L. - In: Review of quantitative finance and accounting 16 (2001) 1, pp. 65-80
Persistent link: https://www.econbiz.de/10001748001
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An arbitrage-free model of the yield gap
Spencer, Peter D. - In: The Manchester School 67 (1999) Suppl, pp. 116-133
Persistent link: https://www.econbiz.de/10001413122
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TED tandems : arbitrage restrictions and the US Treasury bill - Eurodollar futures spread
Poitras, Geoffrey - In: International review of economics & finance : IREF 7 (1998) 3, pp. 255-276
Persistent link: https://www.econbiz.de/10001355646
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From pit to electronic trading : impact on price volatility of U.S. treasury futures
Orłowski, Lucjan T. - In: Review of financial economics : RFE 25 (2015), pp. 3-9
Persistent link: https://www.econbiz.de/10011498204
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Macroeconomic surprises and short-term behaviour in bond futures
Veredas, David - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 843-866
Persistent link: https://www.econbiz.de/10003233767
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Macroeconomic announcements and volatility of treasury futures
Li, Li; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000997634
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Dynamical volatility and correlation among US stock and treasury bond cash and futures markets in presence of financial crisis : a copula approach
Liu, Hsiang-Hsi; Wang, Teng-Kun; Li, Weny - In: Research in international business and finance 48 (2019), pp. 381-396
Persistent link: https://www.econbiz.de/10012135956
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Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options
Kuo, I.-doun; Lin, Yueh-neng - In: Review of financial economics : RFE 18 (2009) 1, pp. 23-32
Persistent link: https://www.econbiz.de/10003832528
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An empirical analysis of the US dollar, yen and eurodollar exchange shock mean and volatility spillover to domestic and China stock markets
Wei, Ching Chun - In: International journal of economics 3 (2009) 1, pp. 61-76
Persistent link: https://www.econbiz.de/10003932421